Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329851 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] Financial Internet Quarterly [ISSN:] 2719-3454 [Volume:] 19 [Issue:] 3 [Year:] 2023 [Pages:] 75-86
Publisher: 
Sciendo, Warsaw
Abstract: 
Exchange rate and its related risk management are too important for main participants in foreign exchange markets. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding replication portfolio. However, in the current paper, arbitrage opportunities are studied using the game theory perspective. This paper proposes different types of games played in a specified foreign exchange market in the presence of three exchange rates. Proposed games are exchange rate games in two cases of no arbitrage and existence of arbitrage, optimal stopping game, the arbitrage game, threshold strategies used in global game and Non-cooperative exchange rate game. Most of cases, the bang-bang rule of optimal control is used for finding the Nash equilibriums (NE). However, simulated and stochastic approximation (SA) solutions are also given. Most highlights of the current paper are: (I) considering two types of arbitrage opportunities, simultaneously, (II) translating arbitrage detection as game theory concepts, (III) solving the problem using techniques of optimal control theory. Finally concluding remarks are proposed.
Subjects: 
Arbitrage
Bang-Bang rule
Non-cooperative game
Nash equilibrium
Optimal stopping
Optimal control
SA
Threshold strategies
JEL: 
G14
G15
G20
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.